if you create a permanent or temp table that has the shape of the data, you can insert into it;

a rough example, but it works on my side, assuming the proper tables and databases and stuff:

CREATE TABLE [dbo].[#tmp] (

[STATETBLKEY] INT NOT NULL,

[INDEXTBLKEY] INT NOT NULL,

[STATECODE] CHAR(2) NOT NULL,

[STATENAME] VARCHAR(50) NOT NULL,

[FIPS] CHAR(3) NULL)

declare @sqltext varchar(max)

select @sqltext='

SELECT * FROM OPENQUERY(My2005LinkedServer,''SELECT * FROM LHC.dbo.TBSTATE'')'

--insert into instead of just a select

INSERT INTO #tmp

exec (@sqltext)